INTERVIEW QUESTIONS: Société Générale, Equity Structuring, Internship
What the delta of an option when it is at the money (ATM)?
What will happen to the price of the option if there is an increase in interest rates?
It will increase according to the RHO Greek.
What is the price of an option if the volatility tends towards infinity? And what if the expiry date tends towards infinity?
In both case the price is equal to the underlying price. (I was not sure if these were trick questions because volatility can't be more than 100% and if it is you simply won't exercise the option in my opinion.)
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